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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Journal of mathematical finance"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
ARCH model
Estimation
Estimation theory
100
Schätztheorie
100
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31
Theorie
27
Theory
27
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17
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Irungu, Irene W.
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Discussion paper / Centre for Economic Policy Research
Journal of mathematical finance
Journal of risk
Journal of econometrics
217
Economics letters
89
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
89
Econometric reviews
65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
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Discussion papers / CEPR
29
International journal of forecasting
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of time series econometrics
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Energy economics
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Journal of applied econometrics
12
Journal of quantitative economics
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IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Theoretical economics letters
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Regional science & urban economics
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Journal of econometric methods
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Journal of international financial markets, institutions & money
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The European journal of finance
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The journal of risk model validation
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ECONIS (ZBW)
41
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41
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1
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
2
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
3
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
4
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
5
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
6
Are there multiple independent risk anomalies in the cross section of stock returns?
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of risk
24
(
2021
)
2
,
pp. 43-87
Persistent link: https://www.econbiz.de/10013284832
Saved in:
7
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
8
Bias-corrected estimators for the Vasicek model : an application in risk measure estimation
Guo, Zi-Yi
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 71-104
Persistent link: https://www.econbiz.de/10012500264
Saved in:
9
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
10
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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